Purple Valley Capital, Inc. : Diversified Trend 1

Year-to-Date
2.90%
Aug Performance
24.84%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
41.18%
Sharpe (RFR=1%)
0.29
CAROR
5.33%
Assets
$ 2.2M
Worst DD
-69.77
S&P Correlation
-0.09

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2008
Diversified Trend 1 24.84 5.34 2.90 -0.06 -33.10 -27.83 -9.55 77.88
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 125.77
+/- S&P 500 26.65 -1.00 -13.83 -0.91 -66.53 -72.42 -193.32 -47.89

Strategy Description

Summary

Founded in 2008 by Donald Wieczorek, Purple Valley Capital, Inc. (“PVC”) is an asset management firm that offers professional money management to institutions and high net worth individuals by trading a diverse group of futures markets. Our primary objective is to use our systematic... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
18%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
30.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
12.00%
Currency Futures
11.00%
Industrial Metals
11.00%
Precious Metals
11.00%
Energy
11.00%
Grains
11.00%
Interest Rates
11.00%
Livestock
11.00%
Softs
11.00%
Composition Pie Chart

Summary

Founded in 2008 by Donald Wieczorek, Purple Valley Capital, Inc. (“PVC”) is an asset management firm that offers professional money management to institutions and high net worth individuals by trading a diverse group of futures markets. Our primary objective is to use our systematic risk management strategy to capture large market trends around the world in order to provide investors long-term capital appreciation with very low correlation to traditional investments. Please visit each section of the website to learn more about the benefits of diversifying your portfolio by investing with PVC.

Investment Strategy

Purple Valley Capital, Inc. utilizes a disciplined and systematic strategy to trade a wide array of global futures markets with the goal of capturing large persistent market trends. The strategy is highly diversified, trading over 40 markets, across many time frames, both long and short. The core of the investment program is to cut losing trades very quickly and systematically, ride winners, appropriately manage risk, and be consistent. Patience and discipline are essential while trading this program. The active risk control process seeks to protect capital and limit downside risk, while skewing returns and volatility to the upside.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-69.77 54 - 1/1/2015 7/1/2019
-47.56 31 14 4/1/2011 11/1/2013
-43.22 9 4 11/1/2009 8/1/2010
-17.46 5 1 11/1/2008 4/1/2009
-13.27 1 3 5/1/2009 6/1/2009
-2.10 1 1 9/1/2009 10/1/2009
-0.61 1 1 12/1/2010 1/1/2011
-0.52 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
112.01 4 9/1/2010 12/1/2010
93.39 6 8/1/2014 1/1/2015
73.94 4 8/1/2008 11/1/2008
38.24 1 5/1/2009 5/1/2009
31.64 4 10/1/2017 1/1/2018
27.26 1 11/1/2009 11/1/2009
24.84 1 8/1/2019 8/1/2019
24.45 3 4/1/2013 6/1/2013
22.12 5 12/1/2013 4/1/2014
18.18 1 4/1/2016 4/1/2016
18.00 1 2/1/2011 2/1/2011
17.60 3 7/1/2009 9/1/2009
17.05 1 8/1/2011 8/1/2011
16.38 2 11/1/2018 12/1/2018
15.27 1 5/1/2012 5/1/2012
14.72 2 8/1/2018 9/1/2018
14.14 2 7/1/2012 8/1/2012
13.76 3 4/1/2019 6/1/2019
13.64 1 4/1/2011 4/1/2011
13.30 1 7/1/2015 7/1/2015
12.48 1 2/1/2012 2/1/2012
11.12 1 6/1/2014 6/1/2014
10.72 1 11/1/2015 11/1/2015
8.24 1 2/1/2019 2/1/2019
6.68 2 12/1/2012 1/1/2013
6.04 2 5/1/2010 6/1/2010
4.82 1 6/1/2018 6/1/2018
4.45 1 9/1/2015 9/1/2015
4.33 1 2/1/2016 2/1/2016
4.06 2 10/1/2016 11/1/2016
3.34 1 8/1/2013 8/1/2013
3.14 1 2/1/2009 2/1/2009
3.01 1 7/1/2016 7/1/2016
2.15 1 3/1/2015 3/1/2015
1.48 1 11/1/2011 11/1/2011
0.86 1 4/1/2017 4/1/2017
0.68 1 7/1/2017 7/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.02 4 2/1/2018 5/1/2018
-35.10 5 12/1/2009 4/1/2010
-27.90 3 5/1/2011 7/1/2011
-26.12 3 9/1/2013 11/1/2013
-23.29 3 4/1/2015 6/1/2015
-21.74 2 9/1/2011 10/1/2011
-21.63 2 8/1/2016 9/1/2016
-17.50 2 7/1/2010 8/1/2010
-17.43 1 7/1/2019 7/1/2019
-16.71 1 10/1/2018 10/1/2018
-16.59 1 3/1/2016 3/1/2016
-16.31 2 5/1/2016 6/1/2016
-15.83 1 10/1/2015 10/1/2015
-15.41 2 2/1/2013 3/1/2013
-14.78 3 9/1/2012 11/1/2012
-13.64 2 12/1/2008 1/1/2009
-13.27 1 6/1/2009 6/1/2009
-12.08 1 3/1/2019 3/1/2019
-11.55 1 6/1/2012 6/1/2012
-11.36 4 12/1/2016 3/1/2017
-10.36 2 12/1/2015 1/1/2016
-8.73 2 8/1/2017 9/1/2017
-8.15 2 3/1/2012 4/1/2012
-8.09 1 5/1/2014 5/1/2014
-8.00 1 7/1/2013 7/1/2013
-7.79 1 1/1/2019 1/1/2019
-7.44 1 7/1/2014 7/1/2014
-7.32 2 3/1/2009 4/1/2009
-6.24 2 5/1/2017 6/1/2017
-5.65 1 2/1/2015 2/1/2015
-4.60 1 7/1/2018 7/1/2018
-3.20 2 12/1/2011 1/1/2012
-2.10 1 10/1/2009 10/1/2009
-0.67 1 8/1/2015 8/1/2015
-0.61 1 1/1/2011 1/1/2011
-0.52 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods133.00131.00128.00122.00116.00110.0098.0086.0074.00
Percent Profitable50.3845.0445.3139.3441.3849.0954.0858.1445.95
Average Period Return1.092.714.227.538.1512.3212.9113.6022.40
Average Gain9.6019.0926.6747.3952.5256.1253.6646.5978.75
Average Loss-7.54-10.70-14.38-18.33-23.18-29.91-35.08-32.21-25.50
Best Period47.0971.92148.64145.91105.15180.36206.54204.12176.52
Worst Period-22.21-32.94-38.02-41.96-47.67-53.47-60.62-66.60-45.78
Standard Deviation11.8920.1529.7541.8342.9450.8655.8052.4766.45
Gain Standard Deviation10.0318.5930.6840.8428.8535.9242.8542.7659.85
Loss Standard Deviation5.887.478.7710.1713.1913.5618.4320.3010.65
Sharpe Ratio (1%)0.080.120.130.160.150.200.180.180.26
Average Gain / Average Loss1.271.781.852.592.271.881.531.453.09
Profit / Loss Ratio1.291.461.541.681.601.811.802.012.63
Downside Deviation (10%)6.9510.4114.0319.8125.6230.2336.6737.5340.24
Downside Deviation (5%)6.769.8012.7516.9921.3924.7128.6326.8123.80
Downside Deviation (0%)6.729.6512.4316.3020.3823.3926.7924.5420.28
Sortino Ratio (10%)0.100.140.120.130.020.07-0.08-0.21-0.13
Sortino Ratio (5%)0.150.250.290.380.310.420.350.360.73
Sortino Ratio (0%)0.160.280.340.460.400.530.480.551.10

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 0.00 9/2019
IASG CTA Index Month 2 24.84 8/2019
Trend Following Strategy Index Month 2 24.84 8/2019
Diversified Trader Index Month 2 24.84 8/2019
Systematic Trader Index Month 2 24.84 8/2019
Trend Following Strategy Index Month 4 5.93 5/2019
Diversified Trader Index Month 6 5.93 5/2019
Systematic Trader Index Month 8 5.93 5/2019
Diversified Trader Index Month 8 5.09 4/2019
IASG CTA Index Month 8 5.09 4/2019
Trend Following Strategy Index Month 6 5.09 4/2019
Systematic Trader Index Month 7 5.09 4/2019
IASG CTA Index Month 8 5.09 4/2019
Systematic Trader Index Month 7 5.09 4/2019
Diversified Trader Index Month 8 5.09 4/2019
Trend Following Strategy Index Month 6 5.09 4/2019
Systematic Trader Index Month 2 8.24 2/2019
Systematic Trader Index Month 2 8.24 2/2019
Systematic Trader Index Month 2 8.24 2/2019
Trend Following Strategy Index Month 2 8.24 2/2019
Trend Following Strategy Index Month 2 8.24 2/2019
Trend Following Strategy Index Month 2 8.24 2/2019
Diversified Trader Index Month 2 8.24 2/2019
Diversified Trader Index Month 2 8.24 2/2019
Diversified Trader Index Month 2 8.24 2/2019
IASG CTA Index Month 2 8.24 2/2019
IASG CTA Index Month 2 8.24 2/2019
IASG CTA Index Month 2 8.24 2/2019
Systematic Trader Index Month 3 8.24 2/2019
Diversified Trader Index Month 3 8.24 2/2019
Trend Following Strategy Index Month 3 8.24 2/2019
IASG CTA Index Month 3 8.24 2/2019
IASG CTA Index Month 3 14.22 8/2018
Trend Following Strategy Index Month 3 14.22 8/2018
Diversified Trader Index Month 3 14.22 8/2018
Systematic Trader Index Month 3 14.22 8/2018
Diversified Trader Index Month 5 4.52 6/2018
Trend Following Strategy Index Month 3 4.52 6/2018
IASG CTA Index Month 9 4.52 6/2018
Systematic Trader Index Month 7 4.52 6/2018
IASG CTA Index Month 2 17.56 1/2018
Diversified Trader Index Month 2 17.56 1/2018
Trend Following Strategy Index Month 2 17.56 1/2018
Systematic Trader Index Month 2 17.56 1/2018
Trend Following Strategy Index Month 2 3.96 11/2017
Systematic Trader Index Month 4 3.96 11/2017
IASG CTA Index Month 4 3.96 11/2017
Diversified Trader Index Month 2 3.96 11/2017
Trend Following Strategy Index Month 9 7.44 10/2017
Trend Following Strategy Index Month 7 1.06 10/2016
IASG CTA Index Month 1 18.18 4/2016
Systematic Trader Index Month 2 18.18 4/2016
Trend Following Strategy Index Month 2 18.18 4/2016
Diversified Trader Index Month 2 18.18 4/2016
IASG CTA Index Month 6 10.72 11/2015
Trend Following Strategy Index Month 8 10.72 11/2015
Diversified Trader Index Month 8 10.72 11/2015
Systematic Trader Index Month 9 10.72 11/2015
IASG CTA Index Month 6 13.30 7/2015
Diversified Trader Index Month 5 13.30 7/2015
Systematic Trader Index Month 4 13.30 7/2015
Trend Following Strategy Index Month 5 13.30 7/2015
Trend Following Strategy Index Month 4 19.39 1/2015
Diversified Trader Index Month 5 19.39 1/2015
IASG CTA Index Month 6 19.39 1/2015
Systematic Trader Index Month 5 19.39 1/2015
IASG CTA Index Year Rolling 3 87.49 2013 - 2014
Diversified Trader Index Month 9 14.64 11/2014
Trend Following Strategy Index Month 9 14.64 11/2014
IASG CTA Index Month 9 14.64 11/2014
Systematic Trader Index Month 10 14.64 11/2014
Trend Following Strategy Index Month 1 32.20 9/2014
IASG CTA Index Month 2 32.20 9/2014
Diversified Trader Index Month 1 32.20 9/2014
Systematic Trader Index Month 1 32.20 9/2014
Diversified Trader Index Month 1 11.00 6/2014
Systematic Trader Index Month 1 11.00 6/2014
Trend Following Strategy Index Month 1 11.00 6/2014
IASG CTA Index Month 2 11.00 6/2014
Trend Following Strategy Index Month 2 6.76 3/2014
IASG CTA Index Month 6 6.76 3/2014
Diversified Trader Index Month 5 6.76 3/2014
Systematic Trader Index Month 5 6.76 3/2014
Trend Following Strategy Index Month 10 2.81 1/2014
Trend Following Strategy Index Month 8 3.25 8/2013
Diversified Trader Index Month 4 9.36 6/2013
IASG CTA Index Month 4 9.36 6/2013
Trend Following Strategy Index Month 2 9.36 6/2013
Systematic Trader Index Month 2 9.36 6/2013
Systematic Trader Index Month 8 6.16 5/2013
Trend Following Strategy Index Month 7 6.16 5/2013
Diversified Trader Index Month 10 6.16 5/2013
Trend Following Strategy Index Month 8 3.14 8/2012
Trend Following Strategy Index Month 9 10.47 7/2012
IASG CTA Index Month 4 11.77 2/2012
Trend Following Strategy Index Month 4 11.77 2/2012
Diversified Trader Index Month 4 11.77 2/2012
Systematic Trader Index Month 4 11.77 2/2012
Trend Following Strategy Index Month 4 17.02 8/2011
Diversified Trader Index Month 3 17.02 8/2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.